Article
Valuation of American Lookback-Options and the Distribution of Kronecker Sequences
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Abstract
In this paper, we determine the complexity of calculating the fair value of an American lookback-option in a binomial n−step model via backwardation. It will turn out, that the complexity also depends on diophantine properties of a certain parameter of the model. Therefore, we will need some basic tools from the theory of uniform distribution for the determination of the complexity.
Keywords
lookback options, derivative pricing, discrepancy, Koksma-Hlawka-inequality.
Citation
Larcher, G. & Pomberger, S. (2025). Valuation of american lookback-options and the distribution of kronecker sequences. Uniform Distribution Theory, 20(1), 1–15. https://doi.org/10.2478/UDT-2025-0001
G. Larcher and S. Pomberger, “Valuation of american lookback-options and the distribution of kronecker sequences,” Uniform Distribution Theory, vol. 20, no. 1, pp. 1–15, 2025, doi: 10.2478/UDT-2025-0001.
Larcher G, Pomberger S. Valuation of american lookback-options and the distribution of kronecker sequences. Uniform Distribution Theory. 2025;20(1):1–15. doi:10.2478/UDT-2025-0001.
Larcher, G. and Pomberger, S. (2025), ‘Valuation of american lookback-options and the distribution of kronecker sequences’, Uniform Distribution Theory, 20(1), pp. 1–15. Available at: https://doi.org/10.2478/UDT-2025-0001.
Larcher, Gerhard, and Stefan Pomberger. “Valuation of American Lookback-options and the Distribution of Kronecker Sequences.” Uniform Distribution Theory, vol. 20, no. 1, 2025, pp. 1–15. https://doi.org/10.2478/UDT-2025-0001.
Larcher, Gerhard, and Stefan Pomberger. “Valuation of American Lookback-options and the Distribution of Kronecker Sequences.” Uniform Distribution Theory 20, no. 1 (2025): 1–15. https://doi.org/10.2478/UDT-2025-0001.
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Published by: Engineering Journals
